Currency to be Mapped based on Fair Value/mtm Value Signage in T2T_STG_SWAPS_CONTRACTS_FLI
(Doc ID 2964723.1)
Last updated on AUGUST 06, 2023
Applies to:Oracle Financial Services Liquidity Risk Measurement and Management - Version 8.0.7 and later
Information in this document applies to any platform.
Enhancement Request for V_ISO_CURRENCY_CD column in T2T_STG_SWAPS_CONTRACTS_FLI
Current Behavior : Right now, in the T2T v_pay_ccy is mapped to v_iso_currency_cd, it must be changed to the above mentioned logic..
Expected Behavior : For swaps and Fx_Contracts , currency must be based on signage of mtm value/fair value.
For swaps :
If the signage is +ve, then it must be reported as Receive Currency
If the signage is -ve, then it must be reported as Pay Currency
For Fx Contracts,
if the signage of mtm value/fair value is +ve, then it must be bought currency
if the signage of mtm value/fair value is -ve, then it must be sold currency
Below is the expression now for V_ISO_CURRENCY_CD column in T2T_STG_SWAPS_CONTRACTS_FLI :-
DECODE(SIGN(STG_SWAPS_CONTRACTS.N_FAIR_VALUE),-1, STG_SWAPS_CONTRACTS.V_PAY_CCY, 1, STG_SWAPS_CONTRACTS.V_RCV_CCY, COALESCE(STG_SWAPS_CONTRACTS.V_PAY_CCY,STG_SWAPS_CONTRACTS.V_RCV_CCY))
Below is the expression now for V_ISO_CURRENCY_CD column in T2T_STG_FX_CONTRACTS_FLI :-
DECODE(SIGN(STG_FX_CONTRACTS.N_FAIR_VALUE),-1, STG_FX_CONTRACTS.V_SOLD_CURR_CODE, 1, STG_FX_CONTRACTS.V_BOUGHT_CURR_CODE, COALESCE(STG_FX_CONTRACTS.V_SOLD_CURR_CODE,STG_FX_CONTRACTS.V_BOUGHT_CURR_CODE))
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